A lot of fancy things can be built with Lego sets nowadays. Such as a diversifying portfolio that loads on the Fama-French size factor.Collecting Lego — yes, the plastic toys made of interlocking bricks that become cars and castles and robots — returned more than large stocks, bonds and gold in the three decades ending in 2015, says a study by Victoria Dobrynskaya, an assistant professor at Russia’s Higher School of Economics.